C++ Quant Developer

A major Dutch bank is modernising the margining models behind its C++ risk system. It clears listed derivatives across Europe, Asia-Pacific and the US. You will work alongside the Quantitative Risk team to turn new pricing and risk methodology into production code. You will also help shape the low-level architecture of a system that sits at the core of the clearing business. This role is for a hands-on C++ engineer who knows both risk and derivatives.

You will take ownership of an existing, large C++ codebase and improve how it prices and margins exchange-traded derivatives across asset classes. You will work closely with quants, software engineers, business developers and product owners. This is a 12-month assignment for 36 hours a week, based at the bank’s Amsterdam Zuidas office. It is a payroll position via Levy Professionals.

You will: get to know the risk system’s codebase in depth and recommend improvements to the model implementation; design the low-level solution architecture and help plan the model roadmap; implement pricing and risk model improvements in C++ (up to C++20); coach software developers and junior quant developers.

About you: 7+ years of experience as a C++ developer, including work in large codebases and modern C++ (up to C++20); 4+ years of experience developing market or counterparty risk systems; solid understanding of quant concepts such as implied volatility, standard pricing models and statistical analysis; working knowledge of linear products, options and ETFs and how they are priced, ideally across several asset classes; experience coaching developers, combined with strong communication skills; MSc in a STEM field.

About Levy Professionals: Since 2000 we provide professional solutions to organizations ranging from tech start-ups to global players. From our offices in Amsterdam and London we have built an international and local network of skilled employed professionals and contractors fuelled by our passion for connecting skills with projects. Over the years we have fulfilled over 2500 requirements and nowadays we consistently have 250+ professionals recruited and relocated from 14 countries allocated to various projects.

Our strength is the way that we see and treat people. This will always be a key factor in our strategy for many years to come.